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| bio | website | |
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| location | ||
| age | ||
| visits | member for | 2 years, 3 months |
| seen | Jan 13 at 13:55 | |
| stats | profile views | 49 |
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Mar 12 |
awarded | Enlightened |
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Mar 12 |
awarded | Nice Answer |
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Feb 12 |
awarded | Yearling |
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Jun 29 |
comment |
What is a real world example of negative forward interest rate? As for the spreads. The point is you have to treat 3M and 6M forward rates separately, this is typically done when bootstrapping your interest rate curves. |
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Jun 29 |
comment |
What is a real world example of negative forward interest rate? The interest future price is just 100 - forward rate (apart from a convexity adjustment). So if the price is greater than 100, the forward rate is negative. |
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Jun 25 |
revised |
What is a real world example of negative forward interest rate? added 15 characters in body |
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Jun 25 |
answered | What is a real world example of negative forward interest rate? |
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May 12 |
awarded | Nice Answer |
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Feb 12 |
awarded | Yearling |
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May 14 |
comment |
Setting the r in put-call parity? Things have changed in the rates world since Hull wrote that. Traders typically use an OIS rate as the risk free rate, not LIBOR. As quant_dev suggests below, the correct rate to use in the put-call parity formula (or indeed for discounting any future cash flow) is the rate you pay/receive on collateral from your counterparties. This is typically the relevant currency's OIS rate (eg EONIA for EUR) |
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May 8 |
answered | Valuing Total Return Swaps |
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May 8 |
answered | Do binary options make any sense? |
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May 1 |
answered | Effective Euro-USD (EURUSD) Exchange Rate Prior to Euro's Existence |
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Mar 15 |
answered | Rationale for OIS discounting for collateralized derivatives? |
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Mar 13 |
awarded | Enthusiast |
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Feb 28 |
awarded | Supporter |
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Feb 21 |
awarded | Editor |
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Feb 21 |
revised |
What SABR $\beta$ to use for EURIBOR swaption smiles added 427 characters in body; deleted 3 characters in body |
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Feb 21 |
answered | What SABR $\beta$ to use for EURIBOR swaption smiles |
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Feb 14 |
comment |
Stochastic recovery rates Not sure if it's still needed. I've not done credit in a while. |
